Isn't there any pricing engine for american options when the spot follows a
brownian motion process ?
I know for european options we can use blackcalculator , but what about
american type ?
View this message in context: http://www.nabble.com/newbie-question-tp17277220p17277220.html
Sent from the quantlib-users mailing list archive at Nabble.com.
From: Luigi Ballabio <luigi.ballabio@gm...> - 2008-05-19 16:02:49
On Fri, 2008-05-16 at 08:16 -0700, aklec wrote:
> Isn't there any pricing engine for american options when the spot follows a
> brownian motion process ?
There are a few inside the ql/pricingengines/vanilla folder. Also, you
can have a look at the EquityOption example.
The wisdom of the wise and the experience of the ages are perpetuated
-- Benjamin Disraeli
Get latest updates about Open Source Projects, Conferences and News.